Create path on DXF object
There is no such a thing as DXF object in Blender. Lines from DXF format are usually imported as curve objects. You can manipulate them exactly in the same way you would manipulate any other curves in Blender. If you needed to change the spline types inside the curve objects you would need to enter edit mode Tab, select any vertex of the spline(separate segment in a curve) you wish to change the type of and do it in the T panel:



You might also wish to change the type of the handles that can be done in the T as well or with a shortcut v when you have vertices of a spline selected.